We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behaviorin financial markets when chartists estimate both conditional mean and variance by using a weighted averagingprocess. Through a stability, bifurcation, and normal form analysis,...

In order to characterize asset price and wealth dynamics arising from theinteraction of heterogeneous agents with CRRA utility, a discrete-timestationary model in terms of return and wealth proportions (among differenttypes of agents) is established. When fundamentalists and chartists are...

The use of various moving average (MA) rules remains popular with financial marketpractitioners. These rules have recently become the focus of a number empirical studies, butthere have been very few studies of financial market models where some agents employtechnical trading rules of the type...

Trade among individuals occurs either because tastes (risk aversion) differ, endowmentsdiffer, or beliefs differ. Utilising the concept of 'adaptively rational equilibrium' and a recent frameworkof Brock and Hommes [6, 7] this paper incorporates risk and learning schemes into a simplediscounted...